EBA publishes final draft technical standards on closely correlated currencies

The European Banking Authority (EBA) published today final draft Implementing Technical Standards (ITS) on closely correlated currencies. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).

Update: on 10 April 2018, the European Banking Authority (EBA) updated the list of closely correlated currencies (Annex I) that was originally published in December 2013 as part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS.

These ITS identify a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. Currencies are considered to be closely correlated if they meet the specific criteria set out in Article 354 of the Capital Requirements Regulation (CRR). Positions in currency pairs that are deemed to be closely correlated are subject to lower capital requirements. The EBA will update this list on a yearly basis incorporating any additional relevant currencies as well as the latest available market data.

Legal basis and next steps

The EBA has developed these final draft ITS in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (colloquially known as Capital Requirements Regulation or CRR).

The final draft standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.